THE CANADIAN FOREIGN EXCHANGE COMMITTEE LE COMITÉ CANADIEN DU MARCHÉ DES CHANGES

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1 THE CANADIAN FOREIGN EXCHANGE COMMITTEE LE COMITÉ CANADIEN DU MARCHÉ DES CHANGES 150 King Street West Contact: Rob Ogrodnick Suite 2000 Telephone: (416) Toronto, Ontario M5H 1J9 CFEC Releases Results of October 2007 Foreign Exchange Volume Survey January 28, The Canadian Foreign Exchange Committee (CFEC) released today the results of its October 2007 semi-annual survey of foreign exchange volumes in Canada. The purpose of the survey is to provide information on the size and structure of the foreign exchange and foreign exchange derivatives market in Canada. Volumes are broken down by product, currency, counterparty, maturity and execution method. The eight banks with the largest foreign exchange activity in Canada participate. The survey is similar in nature to the Bank for International Settlements (BIS) Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity. However, the two surveys may not be directly comparable because of some differences in reporting methodology. Most importantly, in the CFEC survey the basis for reporting is the location of the trading desk in Canada, i.e., it includes all transactions that are priced and executed by traders in Canada. In contrast, in the global BIS survey the basis for reporting is the location of the sales desk of any trade. 1 The summary highlights of the October 2007 survey include the following: 2 The monthly turnover in October of traditional foreign exchange products (defined as spot transactions, outright forwards and foreign exchange swaps) totaled US$ 1.4 trillion, an increase of over one-third from the size of the previous surveys, including the last survey in April. However, with 22 business days in October versus only 20 days in April, the average daily turnover of traditional foreign exchange products amounted to US$ 65.4 billion in October compared with US$ 53.3 billion in April, a smaller increase of 22.7%. Compared with the survey from one year ago, on an annual basis the average daily turnover of traditional foreign exchange products was 32.9% higher, at US$ 65.4 billion in October 2007 versus US$ 49.2 billion in October The average daily turnover of foreign exchange derivatives (currency swaps and over-thecounter options) totaled US$ 3.1 billion, little changed from the US$ 3.0 billion in the April 2007 survey, but up almost 48% from one year ago (US$ 2.1 billion in October 2006). The detailed results of the survey are presented in the summary tables attached. 1 Where no sales desk is involved in a transaction, for example in an interbank deal, volumes are based on the trading desk. 2 There were small revisions to the April 2007 survey data. 1

2 The CFEC is an industry group composed of senior representatives from financial institutions actively involved in the foreign exchange market in Canada and the U.S. dollar/canadian dollar market globally. Formed in 1989, its objective is to provide a forum for the regular discussion of issues and developments pertinent to the foreign exchange market. This includes the review of market practices and procedures, and the promotion of professionalism and integrity in the industry. The Bank of Canada chairs the CFEC and provides secretariat services to the Committee. The Bank of Canada also co-ordinates the CFEC survey on behalf of the market participants. The eight banks that participate in the survey are: Bank of Nova Scotia BMO Capital Markets CIBC World Markets HSBC Bank Canada National Bank of Canada RBC Capital Markets State Street (Canada) TD Securities Globally, a number of other foreign exchange committees conduct similar surveys and they are also releasing their results today on their websites. These include the (London) Foreign Exchange Joint Standing Committee, the (New York) Foreign Exchange Committee and the Singapore Foreign Exchange Market Committee. (The Tokyo Foreign Exchange Market Committee surveys its foreign exchange market annually during the month of April, as opposed to semi-annually during April and October.) Links to the websites of the other foreign exchange committees can be found on the CFEC website ( ). Alternatively, the direct links to their survey results are provided below:

3 The Canadian Foreign Exchange Committee Semi-annual Foreign Exchange Volume Survey October, 2007 Summary Tables January 28,

4 Table of Contents Summary turnover data for October, 2007 Table 1 Table 2 Table 3 Table 4 Table 5 Table 6 Table 7 Traditional foreign exchange turnover in Canada - Summary of surveys Over-the-counter (OTC) derivatives market turnover in Canada - Summary of surveys Total reported foreign exchange turnover in Canada Reported traditional foreign exchange turnover in Canada by instrument and by counterparty - Summary of surveys Currency distribution of traditional foreign exchange market turnover in Canada - Summary of surveys Reported foreign exchange market turnover in Canada by maturity Execution methods 4

5 Table 1: Traditional foreign exchange turnover in Canada Summary of surveys Billions of U.S. dollars Traditional foreign exchange turnover Number of Average total Spot Outright FX Total business daily forwards swaps days turnover Oct Per cent change Apr Oct Apr Oct Table 2: Over-the-counter (OTC) derivatives market turnover in Canada Summary of surveys Billions of U.S. dollars Foreign exchange derivatives Number of Average total Currency Options Total business daily swaps days turnover Oct Per cent change Apr Oct Apr Oct

6 Instrument and counterparty Table 3: Total reported foreign exchange turnover in Canada Millions of U.S. dollars Canadian dollar against U.S. U.S. dollar against currencies Canadian dollar against dollar other than the Canadian dollar currencies other than the U.S. All other currency pairs All currencies dollar Apr-07 Oct-07 Per cent Apr-07 Oct-07 Per cent Apr-07 Oct-07 Per cent Apr-07 Oct-07 Per cent Apr-07 Oct-07 Per cent growth growth growth growth growth Spot 135, , , , ,452 14, ,158 13, , , Reporting dealers , ,870 18, Other dealers 70, , ,018 93, ,156 7, ,499 12, , , Other financial 15,263 21, ,563 11, ,388 3, ,476 36, institutions Non-financial customers 25,106 35, ,032 6, ,399 2, ,846 45, Outright forwards 36,000 48, ,771 25, ,225 11, ,754 3, ,750 87, Reporting dealers 1,333 1, , ,465 2, Other dealers 8,574 11, ,899 10, ,706 1, ,633 1, ,813 24,857 4 Other financial 11,026 14, ,386 8, ,743 6, , ,519 31, Non-financial institutions customers 15,066 20, ,934 6, ,297 2, ,954 29, FX swaps 465, , , , ,083 22, ,537 1, ,007 1,023, Reporting dealers 58,877 65, ,723 5, , ,899 71, Other dealers 306, , , , ,911 7, , , Other financial 54,960 76, ,563 26, ,910 10, , ,493-2 institutions Non-financial customers 45,313 48, ,284 12, ,158 4, , ,780 65, Total dealers 470, , , , ,864 17, ,698 15, ,094 1,116, Reporting 84,633 84, ,123 6, , ,234 92,135-2 Other 385, , , , ,773 17, ,311 14, ,861 1,024, Total customers 166, , ,763 71, ,896 30, ,751 3, , , Financial 81, , ,513 46, ,041 20, , , ,193 9 Non-financial 85, , ,250 25, ,854 9, ,989 1, , , Total turnover 636, , , , ,759 48, ,450 18, ,066,241 1,438, Currency swaps 10,479 16, ,278 7, ,647 23,958 6 OTC options 29,551 30, ,599 9, , , ,439 44,

7 Table 4: Reported traditional foreign exchange turnover in Canada by instrument and by counterparty Summary of surveys Billions of U.S. dollars (and percent shares) Instrument Dealers Counterparty Customers Foreign exchange Spot Outright forwards swaps Reporting Other Financial Non-financial Oct (23.1) 61 (6.3) 685 (70.7) 96 (9.9) 658 (67.8) 118 (12.1) 99 (10.2) Apr (23.5) 61 (6.1) 704 (70.4) 102 (10.2) 705 (70.5) 115 (11.5) 77 (7.7) Oct (23.1) 63 (6.1) 732 (70.8) 100 (9.6) 710 (68.7) 138 (13.3) 87 (8.4) Apr (22.2) 74 (6.9) 756 (70.9) 94 (8.8) 698 (65.5) 166 (15.5) 109 (10.2) Oct (22.7) 88 (6.1) 1024 (71.2) 92 (6.4) 1024 (71.2) 181 (12.6) 141 (9.8) 7

8 Table 5: Currency distribution of traditional foreign exchange market turnover in Canada Summary of surveys Percent shares Currency October April October April October U.S. dollar Canadian dollar Euro U.K. pound Japanese yen Australian dollar Swiss franc Other currencies All currencies[1] (1) Since every foreign exchange transaction involves two currencies, the reporting of all currencies necessarily sums to 200 per cent. 8

9 Instrument Outright forwards Table 6: Reported foreign exchange market turnover in Canada by maturity a Millions of U.S. dollars October-05 April-06 October-06 April-07 October-07 Amount % share Amount % share Amount % share Amount % share Amount % share Up to 1 month 42, , , , , month to 1 year 17, , , , , More than 1 year 1, , , , , Total 61, , , , , Foreign exchange swaps Up to 1 month 619, , , , , month to 1 year 133, , , , , More than 1 year 6, , , , , Total 759, , , , ,095, OTC options Up to 1 month 30, , , , , month to 6 months 18, , , , , Over 6 months 8, , , , , Total 57, , , , , a. Not adjusted for local double counting. 9

10 Table 7: Execution methods percent shares October 2007 Execution Methods Primarily for Dealers Execution Methods Primarily for Customers Single-bank Multi-bank Classification Dealer Direct Electronic Broking Voice Broking Customer Direct Proprietary Platforms Dealing Systems TOTAL By Currency Pair: Canadian Dollar against USD Other U.S. Dollar against EUR JPY GBP Total Currency Pairs By Instrument: Spot Outright forwards Foreign exchange swaps Cross currency swaps Options Total Instruments By Counterparty: With reporting dealers With other dealers With other financial institutions With non-financial customers Total Counterparties